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I need to calculate profit for Forex trades that matches Lean profit.
My calculations don't match Lean profit, even direction.
What am I doing wrong?
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Derek Melchin
Hi Valery,
The values don't match because
realProfit = (self.Portfolio.TotalPortfolioValue - self.previousPortfolioValue) / self.previousPortfolioValuecalculates the hourly return of all the portfolio holdings, including both EUR and USD holdings.
In contrast,
profitPercentage = (sellPrice - self.buyPrice) / self.buyPricecalculates the hourly return of the pair EURUSD.
See the attached backtest for reference.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Valery T
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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